Methodology
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Vinter 21Shares Crypto Indexes
Index Methdology

Introduction

The Vinter 21Shares Crypto Indexes are a family of benchmarks, owned by 21Shares. The indexes are developed to provide a rule-based and transparent way to track the value of a portfolio. Each index measures the value of an investment strategy.
This methodology clearly determines what constitutes an active market for the purposes of each index, and establishes the priority given to different types of input data. The methodology takes into account factors like the size and liquidity of the market, the transparency of trading, the positions of market participants, market concentration, and the adequacy of any sample to represent the market or economic reality that the benchmark is intended to measure.
21Shares AG ("21Shares") makes investing in crypto assets as easy as buying shares using your conventional broker or bank. Founded in 2018, 21Shares is led by a team of talented serial entrepreneurs and experienced banking professionals from the technology and financial world. Incorporated in Zug, with offices in Zurich and New York, the company has launched several world firsts, including the first listed crypto basket index ETP in November 2018. Learn more at 21shares.com
Invierno AB ("Vinter") is a pioneering index provider specialized in crypto assets, playing a key role in the emerging crypto ETF industry. The firm collects digital asset data from hundreds of sources, transforming proprietary strategies into investable products. Learn more at vinter.co

Indexes

HODLV

The Vinter 21Shares Crypto Basket Equal Weight Index ("HODLV") contains the five largest crypto assets, all weighted equally. HODLV is a mean-reversion strategy since assets are weighted equally and rebalanced quarterly.
Construction
  • Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
  • Asset selection: Top 5 by 90 days average market capitalization.
  • Rebalance weights: Equal weighted.
  • Rebalanced: Quarterly, starting end of January.
  • Rationale: Invests in the largest assets with a mean reversion strategy; gains are realized at every rebalancing, and underperforming assets are bought.
Details
  • Currency: USD
  • Type: Price return
  • Base date: 2021-01-01
  • Base value: 1000.00
  • Dissemination: Daily
Identifiers
  • Long name: Vinter 21Shares Crypto Basket Equal Weight Index
  • Short name: HODLV
  • ISIN: SE0016830608
  • FIGI: BBG012MV86K7
  • Bloomberg: HODLV
  • Refinitiv: .HODLV
  • Vinter API: vntw-hodlv-5-d

HODLX

The Vinter 21Shares Crypto Basket 10 Index ("HODLX") is a passive index capturing the crypto asset market. It offers a diversified exposure to the ten largest crypto assets. HODLX is a buy-and-hold strategy for passive investors. The index is rebalanced quarterly.
Construction
  • Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
  • Asset selection: Top 10 by 90 days average market capitalization.
  • Rebalance weights: Current market capitalization.
  • Rebalanced: Quarterly, starting end of January.
  • Rationale: A passive index capturing the crypto market.
Details
  • Currency: USD
  • Type: Price return
  • Base date: 2021-01-01
  • Base value: 1000.00
  • Dissemination: Daily
Identifiers
  • Long name: Vinter 21Shares Crypto Basket 10 Index
  • Short name: HODLX
  • ISIN: SE0016830590
  • FIGI: BBG012MV85F5
  • Bloomberg: HODLX
  • Refinitiv: .HODLX
  • Vinter API: vntw-hodlx-10-d

ALTS

The Vinter 21Shares Crypto Mid-Cap Index ("ALTS") is a passive index capturing the mid-cap portion of the crypto asset market. The index offers diversified exposure to the largest crypto assets but excludes the number one and two ranked crypto assets by market capitalization, resulting in a substantially larger weight in the remaining eight constituents.
Construction
  • Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
  • Asset selection: Eight assets ranked 3-10 by 90 days average market capitalization (i.e., select the top 10 and then exclude the two largest assets).
  • Rebalance weights: Current market capitalization.
  • Rebalanced: Quarterly, starting end of January.
  • Rationale: Capture the mid-cap crypto assets by starting with a top 10 index and then excluding the two largest assets.
Details
  • Currency: USD
  • Type: Price return
  • Base date: 2021-01-01
  • Base value: 1000.00
  • Dissemination: Daily
Identifiers
  • Long name: Vinter 21Shares Crypto Mid-Cap Index
  • Short name: ALTS
  • ISIN: SE0017132293
  • FIGI: BBG013PZ2Z34
  • Bloomberg: ALTS
  • Refinitiv: .ALTS
  • Vinter API: vntw-alts-8-d

LAYER1

The Vinter 21Shares Crypto Layer 1 Index (“LAYER1”) invests in the largest layer 1 blockchain assets. The weights are proportional to market capitalization, capped at 30% per asset to promote diversification.
Construction
  • Asset universe: Eligible constituents that are in the top 15 ranked coins by market capitalization at the time of inclusion.
  • Asset selection: Up to top ten layer-1 crypto assets by 90-day average market capitalization. Rebalancing weights: Current market capitalization, capped at 30%. If a cap is enforced, the weight is spread proportionally across the non-capped assets.
  • Rebalanced: Quarterly, starting end of January.
  • Rationale: Invest in the largest layer 1 crypto assets, as these blockchains provide the technical foundations for the entire crypto market.
Details
  • Currency: USD
  • Type: Price return
  • Base date: 2021-01-01
  • Base value: 1000.00
  • Dissemination: Daily
Identifiers
  • Long name: Vinter 21Shares Crypto Layer 1 Index
  • Short name: LAYER1
  • ISIN: SE0017937055
  • FIGI: BBG017CKG8X4
  • Bloomberg: LAYER1
  • Refinitiv: .LAYER1
  • Vinter API: vntw-lay1-10-d

DEFII

The Vinter 21Shares DeFi 10 Infrastructure Index (“DEFII”) includes both the decentralized applications and their underlying blockchains in the decentralized finance (“DeFi”) category. DeFi is a general term for permissionless financial services. Users of decentralized apps (“dApps”) can borrow, lend, trade derivatives, swap assets and perform other financial services - without permission, paperwork or a trusted third party.
Construction
  • Asset universe: Eligible constituents in the DeFi category.
  • Asset selection: First, select up to five assets in the DeFi dApps category. Second, select up to five assets in the DeFi blockchain category. In both steps, select the top assets by 90-day average market capitalization.
  • Rebalancing weights: 50% DeFi dApps and 50% DeFi blockchains, then market cap weighted within each set.
  • Rebalanced: Quarterly, starting end of January.
  • Rationale: A thematic index riding on the decentralized finance wave, that invests in the largest decentralized applications and blockchains.
Details
  • Currency: USD
  • Type: Price return
  • Base date: 2021-01-01
  • Base value: 1000.00
  • Dissemination: Daily
Identifiers
  • Long name: Vinter 21Shares DeFi 10 Infrastructure Index
  • Short name: DEFII
  • ISIN: SE0018013120
  • FIGI: BBG016XC7JR4
  • Bloomberg: DEFII
  • Refinitiv: .DEFII
  • Vinter API: vntw-defii-10-d

Index Construction

Asset Universe

The default asset universe consists of all eligible constituents. It is possible to restrict the universe to certain categories of assets.

Asset Selection

The index constituents are selected from the asset universe. The selection process can be based on a number of factors such as returns, volatility, market capitalization, trading volume, or a combination thereof.
Assets are selected on the review date, which is five business days prior to the rebalancing date.
The default asset selection criteria is to include the largest assets as determined by market capitalization.
If it is not possible to reach the intended number of constituents, the Index Committee can decide to either include non-eligible constituents or allow the index to have fewer constituents than intended. The decision shall be made publicly available.

Rebalance Weights

The rebalance weights (sometimes called target weights) can be determined based on a number of factors such as returns, volatility, market capitalization, trading volume, or a combination thereof - with or without smoothing over time. Caps and floors can be included.
Rebalancing weights are calculated on the review date.
The default is a market capitalization weighted index, in which each asset is weighted by its portion of the total market capitalization of all index constituents.
The rebalance weight per asset is unchanged between rebalances.

Rebalancing

All indexes are rebalanced periodically, by default quarterly, with the rebalancing date set to the last business day of the month. Rebalancing involves a selection of constituents and a calculation of their rebalance weights. Calculations are done using the closing prices on the rebalancing date. The new quantities per asset are used on the opening of the day after rebalancing. After the rebalance, the portfolio's weights per asset are updated so that they equal the rebalance weights per asset.

Eligible Constituents

Assets are eligible as index constituents if they meet the eligibility criteria listed in Vinter’s benchmark statement.
Crypto Assets
Compliance

Calculation

The index value is given by the weighted sum over all constituents of quantity times price divided by a divisor.
The quantity per asset is unchanged between rebalances and is set such that the rebalance weight per asset is reached after rebalancing. The divisor enforces index continuity on rebalancing. It includes a daily accrued fee, by default set to zero. The divisor is defined so that the index starts at a certain start value, which ensures each index tracks the value of a certain amount of capital invested on the start date.
A business day is a day when the SIX stock exchange is open for trading.

Constituent Pricing

The Vinter daily fixing ("VFIX") at 4 pm London time (17:00 Central European Time) is used to price assets. The algorithm is described in Vinter's single asset indexes.
Reference Rates
Methodology
The Benchmark Statement defines the eligibility criteria for input data.
Crypto Assets
Compliance

Market Capitalization

The market capitalization is given by price times circulating supply. For Proof-of-Work crypto assets, a block explorer is used to get the circulating supply. For crypto assets issued on smart contract platforms, such as ERC20 issued on Ethereum, the circulating supply is calculated by starting with the total supply and removing the locked tokens e.g. those held by the founding organization.
If the above is insufficient or inapplicable to determine the circulating supply, other readily available data sources determined by the Company's Product Maintenance Department might be considered.

Index Provider

Invierno AB, Reg. No. 559207-4172, Box 5193, 10244 Stockholm, Sweden (“Vinter”)

Benchmark Administrator

Vinter is the benchmark administrator and the central recipient of input data with the ability to evaluate the integrity and accuracy of input data on a consistent basis. Vinter is responsible for the development of the index and controls all aspects of the provision of the benchmark. Vinter has established a permanent and effective oversight function, governance processes subject to periodic reviews and audits, policies regarding complaints, ethics, conflicts of interest, and contingency, and has established a clear internal organizational structure with consistent roles and responsibilities to identify, prevent, disclose, mitigate, and manage conflicts of interest. The European Securities and Markets Authority has included Invierno AB in its register of Benchmark Administrators approved to carry on the regulated activity of administering a benchmark.

Calculation Agent

Vinter is the calculation agent and is responsible for determining the value of the index described in the index methodology. Vinter calculates the index values in accordance with the index methodology. Upon the request of the benchmark administrator, the calculation agent shall provide all information available on the composition and details of the calculation of the requested index.

Roles

  • Index owner: 21Shares
  • Calculation agent: Vinter
  • Benchmark administrator: Vinter
  • Publication agent: Vinter

Document Versions

Version 1.0 Initial version. September 10, 2021.

Disclaimer

Any product(s) offered with the indexes described in this methodology as underlying is not in any way sponsored, endorsed, sold, or promoted by Invierno, reg. no. 559207-4172 (“Vinter”). Vinter does not make any warranty or representation whatsoever, expressly or impliedly either as to the results to be obtained from the use of the index(es) “Index” described, licenses, used, or referenced under any Programme or Prospectus and/or the figure at which the Index stands at any particular time on any particular day or otherwise. The Index is compiled and calculated solely by Vinter. However, Vinter shall not be liable (whether in negligence or otherwise) to any person for any error in the Index and Vinter shall not be under any obligation to advise any person of any error therein. Vinter is a registered trademark owned by Invierno AB. Invierno AB and its indexes are protected by various intellectual property rights. All third-party use of Vinter and its indexes require by law a licensing agreement with Invierno AB. The Index is a product of Invierno AB. Any Programme referencing the Index is not sponsored, endorsed, sold, or promoted by Vinter and/or its affiliates, and none of such parties makes any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Index. The Programme is in no way sponsored, endorsed, sold, or promoted by Vinter and its Licensors and neither of the Licensors shall have any liability with respect thereto. Vinter is not a registered investment advisor, tax advisor or broker/dealer. The content of the index methodology or its related documents underlying is intended only to provide general and preliminary information and shall not be construed as investment, tax, legal or financial advice. The reader shall ensure that all of his or her investment decisions are not made based on the content of this document and shall be solely responsible for all financial losses made in connection with investment decisions. Nothing contained in the index methodology or its related documents constitutes a solicitation, recommendation, endorsement, or offer by Vinter or any third party associated with Vinter to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on the methodology documents is accurate and up to date, occasionally unintended errors and misprints may occur. The index owner grants the benchmark administrator an exclusive, royalty-free, non-transferable, non-sublicensable license to use the index owner's intellectual property rights to fulfil the benchmark administrator's obligations under the index agreement and the Benchmarks Regulation, including registration of identifiers for indexes. Vinter is a registered Benchmark Administrator by Finansinspektionen (FI) and the European Securities and Markets Authority (ESMA) under Article 34 of the European Benchmarks Regulation (2016/1011).
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Outline
Introduction
Indexes
HODLV
HODLX
ALTS
LAYER1
DEFII
Index Construction
Asset Universe
Asset Selection
Rebalance Weights
Rebalancing
Eligible Constituents
Calculation
Constituent Pricing
Market Capitalization
Index Provider
Benchmark Administrator
Calculation Agent
Roles
Document Versions
Disclaimer